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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 楊朝成(Chau-Chen Yang) | |
| dc.contributor.author | Jen-Chang Liu | en |
| dc.contributor.author | 劉任昌 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:37:01Z | - |
| dc.date.copyright | 2005-01-27 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-01-20 | |
| dc.identifier.citation | Acharya, Viral V., Sanjiv R. Das and Rangarajan K. Sundaram. Pricing credit derivatives with rating transitions. Financial Analysts Journal, 58(3):28--44, May/June 2002.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24693 | - |
| dc.description.abstract | 在Jamshidian(1989)對利率選擇權評價研究中，作者闡述了遠期平賭測度的用處。本研究也將利用這個技巧，說明風險性債券的評價過程，並且將這個過程示範於兩個發表於Journal of Fixed Income期刊的模型。首先，本文證明Cathcart and El-Jahel(1998)的評價模型存在封閉公式解，這個結果取代了原來作者所使用的複雜數值方法。其次，本文說明Schmid and Zagst's (2000)模型中個四個微分方程式求解過程，可以使用三個微分方程式即可。上述的結果都是利用遠期平賭測度轉換技巧達成的。 | zh_TW |
| dc.description.abstract | The usefulness of the forward martingale measure has been demonstrated by Jamshidian (1989) in deriving a pricing formula for default-free bond options. By making use of this technique, this paper offers a greatly simplified approach to the valuation of defaultable bonds by revisiting two pioneering hybrid models published in the Journal of Fixed Income. First, Cathcart and El-Jahel's (1998) original numerical inversion of Laplace
transformations for pricing defaultable bonds is replaced with a closed-form formula derived through the use of the forward martingale measure. Second, Schmid and Zagst's (2000) original four ordinary differential equations for pricing defaultable bonds are replaced by three ordinary differential equations via the use of the forward martingale measure again. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:37:01Z (GMT). No. of bitstreams: 1 ntu-94-D87723002-1.pdf: 1231823 bytes, checksum: f86eabdd999d341999c6020287423bd0 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | 1 Evaluating Defaultable Bonds under the Forward Martingale Measure 1
1.1 Introduction 2 1.2 The Framework 3 1.2.1 Pricing Default-free Bonds under the Spot Measure 4 1.2.2 Expressing Credit Spreads under the Forward Measure 5 1.2.3 Affine Structure 6 1.3 An Application to Cathcart and El-Jahel (1998) 7 1.4 An Application to Schmid and Zagst (2000) 11 1.5 Conclusions 14 2 Pricing Vulnerable Options and Risky Debts under Different Seniority Status 26 2.1 Introduction 27 2.2 Assumptions and Review of Default Risk Models 28 2.2.1 Debts as the Only Liability 29 2.2.2 Call Options as the Only Liability 30 2.2.3 Two Types of Liabilities 31 2.3 Model Description 32 2.3.1 When Debts Are Senior to Options 32 2.3.2 When Options Are Senior to Debts 33 2.3.3 When Both Are Equally Ranking 33 2.3.4 A Unified Framework 34 2.4 Monte Carlo Simulations 36 2.4.1 Simulations Based on Klein and Inglis (2001) 37 2.4.2 Simulations Based on Klein (1996) 38 2.5 Interpretation of the Results 38 2.5.1 The Correlation Rho Always Imposes a Positive Effect on Option Values 39 2.5.2 The Correlation Rho Can Have both Positive and Negative Effects on Debt Values 40 2.5.3 The Mixed Effects from both Rho and the Priority Status 42 2.5.4 Results Based on Klein (1996) 42 2.6 Conclusions 43 3 Life Insurance Liability Valuation with Stochastic Interest Rates 51 3.1 Introduction 52 3.2 The Model 54 3.2.1 Models without Continuing Monitoring 57 3.2.2 Models with Continuing Monitoring 57 3.2.3 Equilibrium Condition 60 3.3 Numerical Examples 61 3.4 Conclusions 63 | |
| dc.language.iso | en | |
| dc.subject | 破產風險 | zh_TW |
| dc.subject | 結構模型 | zh_TW |
| dc.subject | 脆弱選擇權 | zh_TW |
| dc.subject | 遠期平賭測度 | zh_TW |
| dc.subject | 債權順位 | zh_TW |
| dc.subject | seniority status | en |
| dc.subject | vulnerable options | en |
| dc.subject | structural model | en |
| dc.subject | forward martingale measure | en |
| dc.subject | default risk | en |
| dc.title | 信用風險論文集 | zh_TW |
| dc.title | Essays on Credit Risk | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-1 | |
| dc.description.degree | 博士 | |
| dc.contributor.oralexamcommittee | 廖咸興,陳聖賢,周麗娟,陸行(Paul Luh),陳勝源 | |
| dc.subject.keyword | 破產風險,脆弱選擇權,結構模型,債權順位,遠期平賭測度, | zh_TW |
| dc.subject.keyword | seniority status,default risk,forward martingale measure,structural model,vulnerable options, | en |
| dc.relation.page | 76 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2005-01-22 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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